/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. * */ using System; using System.Collections.Generic; using NUnit.Framework; using QuantConnect.Data.Market; using QuantConnect.Lean.Engine.DataFeeds; using QuantConnect.Lean.Engine.DataFeeds.Enumerators; namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators { [TestFixture] public class FastForwardEnumeratorTests { [Test] public void FastForwardsOldData() { var start = new DateTime(2015, 10, 10, 13, 0, 0); var data = new List { new Tick {Time = start.AddMinutes(-1)}, new Tick {Time = start.AddSeconds(-1)}, new Tick {Time = start.AddSeconds(0)}, new Tick {Time = start.AddSeconds(1)}, }; var timeProvider = new ManualTimeProvider(start, TimeZones.Utc); var fastForward = new FastForwardEnumerator(data.GetEnumerator(), timeProvider, TimeZones.Utc, TimeSpan.FromSeconds(0.5)); Assert.IsTrue(fastForward.MoveNext()); Assert.AreEqual(start, fastForward.Current.Time); fastForward.Dispose(); } [Test] public void FastForwardsOldDataAllowsEquals() { var start = new DateTime(2015, 10, 10, 13, 0, 0); var data = new List { new Tick {Time = start.AddMinutes(-1)}, new Tick {Time = start.AddSeconds(-1)}, new Tick {Time = start.AddSeconds(0)}, new Tick {Time = start.AddSeconds(1)}, }; var timeProvider = new ManualTimeProvider(start, TimeZones.Utc); var fastForward = new FastForwardEnumerator(data.GetEnumerator(), timeProvider, TimeZones.Utc, TimeSpan.FromSeconds(1)); Assert.IsTrue(fastForward.MoveNext()); Assert.AreEqual(start.AddSeconds(-1), fastForward.Current.Time); fastForward.Dispose(); } [Test] public void FiltersOutPastData() { var start = new DateTime(2015, 10, 10, 13, 0, 0); var data = new List { new Tick {Time = start.AddMinutes(-1)}, new Tick {Time = start.AddSeconds(-1)}, new Tick {Time = start.AddSeconds(1)}, new Tick {Time = start.AddSeconds(0)}, new Tick {Time = start.AddSeconds(2)} }; var timeProvider = new ManualTimeProvider(start, TimeZones.Utc); var fastForward = new FastForwardEnumerator(data.GetEnumerator(), timeProvider, TimeZones.Utc, TimeSpan.FromSeconds(0.5)); Assert.IsTrue(fastForward.MoveNext()); Assert.AreEqual(start.AddSeconds(1), fastForward.Current.Time); Assert.IsTrue(fastForward.MoveNext()); Assert.AreEqual(start.AddSeconds(2), fastForward.Current.Time); fastForward.Dispose(); } [Test] public void CurrentIsNullWhenEnumeratorReturnsFalse() { var start = new DateTime(2015, 10, 10, 13, 0, 0); var data = new List { new Tick {Time = start.AddSeconds(0)} }; var timeProvider = new ManualTimeProvider(start, TimeZones.Utc); var fastForward = new FastForwardEnumerator(data.GetEnumerator(), timeProvider, TimeZones.Utc, TimeSpan.FromSeconds(0.5)); Assert.IsTrue(fastForward.MoveNext()); Assert.IsNotNull(fastForward.Current); Assert.IsFalse(fastForward.MoveNext()); Assert.IsNull(fastForward.Current); fastForward.Dispose(); } } }